BCV Liquid Alternative Beta

Investment rationale

BCV Liquid Alternative Beta B (USD) is an alternative UCITS sub-fund designed to reproduce the risk/return profile of a diversified portfolio of alternative funds while offering daily liquidity. Its risk indicator is 3 on a 1 to 7 scale, with a recommended holding period of 5 years, and it is intended for investors with an investment horizon above 3 years. The fund is aimed at investors seeking returns close to a diversified alternative fund allocation through a quantitative, liquid implementation across major asset classes, including long and short exposures. Access to this B share class is restricted to investors meeting specific eligibility criteria, including a minimum subscription and holding of CHF 5 million or equivalent, certain mandate-based investors, collective investment schemes, and certain Ethos-related investors.

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How the strategy works

The objective is to reproduce the risk/return profile of an investment in a diversified portfolio of alternative funds. The fund invests globally, including emerging markets, across equities including US large cap, US small cap, Europe, Japan and emerging markets, government and corporate bonds including investment grade and high yield, interest rates, money market instruments, commodities and currencies; implementation is mainly through derivatives, especially standardised futures and total return swaps, and may also include funds and swaps as well as direct or indirect positions. More than 50% of net assets are invested in money market instruments, short-term debt securities or bonds with residual life of up to 3 years, monetary UCITS/other UCIs, short-term bond UCITS/other UCIs and/or term deposits; up to 20% of net assets may be held in sight deposits for treasury needs, and investment in UCITS/other UCIs is capped at 10% of net assets. Positions may be long or short, derivatives may be used for hedging and efficient portfolio management, the fund is actively managed without constraint to its benchmark, and the benchmark is the HFRX Global Hedge Fund Index. The share class is denominated in USD, is a capitalisation class with no income distribution, offers daily dealing, and has a recommended holding period of 5 years.

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Investment philosophy

• The fund uses a quantitative management style, and the investment process is model-based using a factor regression method to reproduce the risk/return profile of diversified alternative funds.

• Its investment universe spans global asset classes, including emerging markets, with exposure to equities, government and corporate bonds, interest rates, money market instruments, commodities and currencies; equity exposure includes US large caps, US small caps, Europe, Japan and emerging markets.

• Portfolio implementation is mainly through indirect, highly liquid instruments, particularly standardised futures and total return swaps, while funds, swaps and other direct or indirect positions are also permitted; positions can be either long or short.

• The fund maintains a strong liquidity and short-duration bias in its asset allocation rules: over 50% of net assets must be in money market instruments, short-term debt or bond instruments with residual maturity of three years or less, short-term bond or monetary UCITS/other UCIs, and/or term deposits; sight deposits may reach 20% for treasury management.

• Investment in UCITS/other UCIs is limited to 10% of net assets, derivatives may also be used for hedging and efficient portfolio management, and at 31 August 2026, the largest positive exposures were US high yield bonds (42.8%), US small-cap equities (16.2%) and emerging-market equities (13.9%). US large-cap equities (-11.8%) and European government bonds (-11.0%) were short exposures; currency exposures included EUR (0.2%) and JPY (-1.5%).

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Management team

The portfolio managers are Philippe Pillonel and Maxime Borel.

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Distinctive features

The fund is distinguished by its aim of replicating the risk/return profile of a diversified alternative fund portfolio through a liquid UCITS format with daily dealing. Its approach is explicitly quantitative and factor-based, using mainly futures and total return swaps to access a broad multi-asset opportunity set across global equities, bonds, commodities and currencies, with both long and short positioning. The portfolio rules also require more than half of net assets to remain in money market, short-term debt, short-term bond funds or term deposits, which is a specific structural feature of the strategy.

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Risks

The fund has a synthetic risk indicator of 3 out of 7. The fund is exposed to the main asset classes globally, including emerging markets, and market and credit risks are reflected in the indicator. Relevant risks include currency risk, liquidity risk, counterparty risk, operational risk and risks linked to derivatives, with currency risk not captured by the synthetic indicator. The use of futures, total return swaps and other derivatives, the ability to take long and short positions, and the possibility of investing in high yield bonds and emerging markets are structural sources of risk. The fund does not provide capital protection, so investors may lose part or all of their investment.

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Asset manager

The fund is a sub-fund of BCV FUND (LUX), a Luxembourg-domiciled FCP. The management company is GERIFONDS (Luxembourg) SA, Luxembourg, a subsidiary of Banque Cantonale Vaudoise (BCV), authorised in Luxembourg as a management company and alternative investment fund manager regulated by the CSSF. BCV Asset Management has offices in Lausanne and Zurich. The depositary is Banque et Caisse d'Epargne de l'Etat, Luxembourg.

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